ShapeZeroLocalSmooth.java
package org.drip.sample.funding;
import org.drip.analytics.date.*;
import org.drip.analytics.definition.LatentStateStatic;
import org.drip.function.r1tor1.QuadraticRationalShapeControl;
import org.drip.market.otc.*;
import org.drip.numerical.common.FormatUtil;
import org.drip.param.creator.*;
import org.drip.param.valuation.*;
import org.drip.product.creator.*;
import org.drip.product.definition.CalibratableComponent;
import org.drip.product.rates.*;
import org.drip.service.env.EnvManager;
import org.drip.spline.basis.*;
import org.drip.spline.params.*;
import org.drip.spline.pchip.LocalMonotoneCkGenerator;
import org.drip.spline.stretch.*;
import org.drip.state.creator.ScenarioDiscountCurveBuilder;
import org.drip.state.discount.*;
import org.drip.state.estimator.*;
import org.drip.state.identifier.*;
import org.drip.state.inference.*;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
* Copyright (C) 2017 Lakshmi Krishnamurthy
* Copyright (C) 2016 Lakshmi Krishnamurthy
* Copyright (C) 2015 Lakshmi Krishnamurthy
* Copyright (C) 2014 Lakshmi Krishnamurthy
* Copyright (C) 2013 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting risk, transaction costs, exposure, margin
* calculations, valuation adjustment, and portfolio construction within and across fixed income,
* credit, commodity, equity, FX, and structured products.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Analytics Core - https://lakshmidrip.github.io/DROP-Analytics-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Numerical Core - https://lakshmidrip.github.io/DROP-Numerical-Core/
*
* DROP Analytics Core implements libraries for the following:
* - Fixed Income Analytics
* - Asset Backed Analytics
* - XVA Analytics
* - Exposure and Margin Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Transaction Cost Analytics
*
* DROP Numerical Core implements libraries for the following:
* - Statistical Learning
* - Numerical Optimizer
* - Spline Builder
* - Algorithm Support
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* <i>ShapeZeroLocalSmooth</i> demonstrates the usage of different local smoothing techniques involved in the
* funding curve creation. It shows the following:
*
* <br><br>
* <ul>
* <li>
* Construct the Array of Cash/Swap Instruments and their Quotes from the given set of parameters.
* </li>
* <li>
* Construct the Cash/Swap Instrument Set Stretch Builder.
* </li>
* <li>
* Set up the Linear Curve Calibrator using the following parameters:
* <ul>
* <li>
* Cubic Exponential Mixture Basis Spline Set
* </li>
* <li>
* C<sub>k</sub> = 2
* Segment Curvature Penalty = 2
* </li>
* <li>
* Quadratic Rational Shape Controller
* </li>
* <li>
* Natural Boundary Setting
* </li>
* </ul>
* </li>
* <li>
* Set up the Akima Local Curve Control parameters as follows:
* <ul>
* <li>
* C1 Akima Monotone Smoothener with spurious extrema elimination and monotone filtering
* applied
* </li>
* <li>
* Zero Rate Quantification Metric
* </li>
* <li>
* Cubic Polynomial Basis Spline Set
* </li>
* <li>
* C<sub>k</sub> = 2
* Segment Curvature Penalty = 2
* </li>
* <li>
* Quadratic Rational Shape Controller
* </li>
* <li>
* Natural Boundary Setting
* </li>
* </ul>
* </li>
* <li>
* Set up the Harmonic Local Curve Control parameters as follows:
* <ul>
* <li>
* C1 Harmonic Monotone Smoothener with spurious extrema elimination and monotone filtering
* applied
* </li>
* <li>
* Zero Rate Quantification Metric
* </li>
* <li>
* Cubic Polynomial Basis Spline Set
* </li>
* <li>
* C<sub>k</sub> = 2
* Segment Curvature Penalty = 2
* </li>
* <li>
* Quadratic Rational Shape Controller
* </li>
* <li>
* Natural Boundary Setting
* </li>
* </ul>
* </li>
* <li>
* Set up the Hyman 1983 Local Curve Control parameters as follows:
* <ul>
* <li>
* C1 Hyman 1983 Monotone Smoothener with spurious extrema elimination and monotone
* filtering applied
* </li>
* <li>
* Zero Rate Quantification Metric
* </li>
* <li>
* Cubic Polynomial Basis Spline Set
* </li>
* <li>
* C<sub>k</sub> = 2
* Segment Curvature Penalty = 2
* </li>
* <li>
* Quadratic Rational Shape Controller
* </li>
* <li>
* Natural Boundary Setting
* </li>
* </ul>
* </li>
* <li>
* Set up the Hyman 1989 Local Curve Control parameters as follows:
* <ul>
* <li>
* C1 Akima Monotone Smoothener with spurious extrema elimination and monotone filtering
* applied
* </li>
* <li>
* Zero Rate Quantification Metric
* </li>
* <li>
* Cubic Polynomial Basis Spline Set
* </li>
* <li>
* C<sub>k</sub> = 2
* Segment Curvature Penalty = 2
* </li>
* <li>
* Quadratic Rational Shape Controller
* </li>
* <li>
* Natural Boundary Setting
* </li>
* </ul>
* </li>
* <li>
* Set up the Huynh-Le Floch Delimited Local Curve Control parameters as follows:
* <ul>
* <li>
* C1 Huynh-Le Floch Delimited Monotone Smoothener with spurious extrema elimination and
* monotone filtering applied
* </li>
* <li>
* Zero Rate Quantification Metric
* </li>
* <li>
* Cubic Polynomial Basis Spline Set
* </li>
* <li>
* C<sub>k</sub> = 2
* Segment Curvature Penalty = 2
* </li>
* <li>
* Quadratic Rational Shape Controller
* </li>
* <li>
* Natural Boundary Setting
* </li>
* </ul>
* </li>
* <li>
* Set up the Kruger Local Curve Control parameters as follows:
* <ul>
* <li>
* C1 Kruger Monotone Smoothener with spurious extrema elimination and monotone filtering
* applied
* </li>
* <li>
* Zero Rate Quantification Metric
* </li>
* <li>
* Cubic Polynomial Basis Spline Set
* </li>
* <li>
* C<sub>k</sub> = 2
* Segment Curvature Penalty = 2
* </li>
* <li>
* Quadratic Rational Shape Controller
* </li>
* <li>
* Natural Boundary Setting
* </li>
* </ul>
* </li>
* <li>
* Construct the Shape Preserving Discount Curve by applying the linear curve calibrator to the
* array of Cash and Swap Stretches.
* </li>
* <li>
* Construct the Akima Locally Smoothened Discount Curve by applying the linear curve calibrator and
* the Local Curve Control parameters to the array of Cash and Swap Stretches and the shape
* preserving discount curve.
* </li>
* <li>
* Construct the Harmonic Locally Smoothened Discount Curve by applying the linear curve calibrator
* and the Local Curve Control parameters to the array of Cash and Swap Stretches and the shape
* preserving discount curve.
* </li>
* <li>
* Construct the Hyman 1983 Locally Smoothened Discount Curve by applying the linear curve
* calibrator and the Local Curve Control parameters to the array of Cash and Swap Stretches and
* the shape preserving discount curve.
* </li>
* <li>
* Construct the Hyman 1989 Locally Smoothened Discount Curve by applying the linear curve
* calibrator and the Local Curve Control parameters to the array of Cash and Swap Stretches and
* the shape preserving discount curve.
* </li>
* <li>
* Construct the Huynh-Le Floch Delimiter Locally Smoothened Discount Curve by applying the linear
* curve calibrator and the Local Curve Control parameters to the array of Cash and Swap
* Stretches and the shape preserving discount curve.
* </li>
* <li>
* Construct the Kruger Locally Smoothened Discount Curve by applying the linear curve calibrator
* and the Local Curve Control parameters to the array of Cash and Swap Stretches and the shape
* preserving discount curve.
* </li>
* <li>
* Cross-Comparison of the Cash/Swap Calibration Instrument "Rate" metric across the different curve
* construction methodologies.
* </li>
* <li>
* Cross-Comparison of the Swap Calibration Instrument "Rate" metric across the different curve
* construction methodologies for a sequence of bespoke swap instruments.
* </li>
* </ul>
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AnalyticsCore.md">Analytics Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics Library</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/README.md">Sample</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/funding/README.md">Funding Curve Builder</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class ShapeZeroLocalSmooth {
private static final FixFloatComponent OTCIRS (
final JulianDate dtSpot,
final String strCurrency,
final String strMaturityTenor,
final double dblCoupon)
{
FixedFloatSwapConvention ffConv = IBORFixedFloatContainer.ConventionFromJurisdiction (
strCurrency,
"ALL",
strMaturityTenor,
"MAIN"
);
return ffConv.createFixFloatComponent (
dtSpot,
strMaturityTenor,
dblCoupon,
0.,
1.
);
}
/*
* Construct the Array of Deposit Instruments from the given set of parameters
*
* USE WITH CARE: This sample ignores errors and does not handle exceptions.
*/
private static final SingleStreamComponent[] DepositInstrumentsFromMaturityDays (
final JulianDate dtEffective,
final String strCurrency,
final int[] aiDay)
throws Exception
{
SingleStreamComponent[] aDeposit = new SingleStreamComponent[aiDay.length];
for (int i = 0; i < aiDay.length; ++i)
aDeposit[i] = SingleStreamComponentBuilder.Deposit (
dtEffective,
dtEffective.addBusDays (
aiDay[i],
strCurrency
),
ForwardLabel.Create (
"USD",
"3M"
)
);
return aDeposit;
}
/*
* Construct the Array of Swap Instruments from the given set of parameters
*
* USE WITH CARE: This sample ignores errors and does not handle exceptions.
*/
private static final FixFloatComponent[] SwapInstrumentsFromMaturityTenor (
final JulianDate dtSpot,
final String strCurrency,
final String[] astrMaturityTenor)
throws Exception
{
FixFloatComponent[] aIRS = new FixFloatComponent[astrMaturityTenor.length];
for (int i = 0; i < astrMaturityTenor.length; ++i)
aIRS[i] = OTCIRS (
dtSpot,
strCurrency,
astrMaturityTenor[i],
0.
);
return aIRS;
}
/*
* This sample demonstrates the usage of different local smoothing techniques involved in the discount
* curve creation. It shows the following:
* - Construct the Array of Cash/Swap Instruments and their Quotes from the given set of parameters.
* - Construct the Cash/Swap Instrument Set Stretch Builder.
* - Set up the Linear Curve Calibrator using the following parameters:
* - Cubic Exponential Mixture Basis Spline Set
* - Ck = 2, Segment Curvature Penalty = 2
* - Quadratic Rational Shape Controller
* - Natural Boundary Setting
* - Set up the Akima Local Curve Control parameters as follows:
* - C1 Akima Monotone Smoothener with spurious extrema elimination and monotone filtering applied
* - Zero Rate Quantification Metric
* - Cubic Polynomial Basis Spline Set
* - Ck = 2, Segment Curvature Penalty = 2
* - Quadratic Rational Shape Controller
* - Natural Boundary Setting
* - Set up the Harmonic Local Curve Control parameters as follows:
* - C1 Harmonic Monotone Smoothener with spurious extrema elimination and monotone filtering applied
* - Zero Rate Quantification Metric
* - Cubic Polynomial Basis Spline Set
* - Ck = 2, Segment Curvature Penalty = 2
* - Quadratic Rational Shape Controller
* - Natural Boundary Setting
* - Set up the Hyman 1983 Local Curve Control parameters as follows:
* - C1 Hyman 1983 Monotone Smoothener with spurious extrema elimination and monotone filtering applied
* - Zero Rate Quantification Metric
* - Cubic Polynomial Basis Spline Set
* - Ck = 2, Segment Curvature Penalty = 2
* - Quadratic Rational Shape Controller
* - Natural Boundary Setting
* - Set up the Hyman 1989 Local Curve Control parameters as follows:
* - C1 Akima Monotone Smoothener with spurious extrema elimination and monotone filtering applied
* - Zero Rate Quantification Metric
* - Cubic Polynomial Basis Spline Set
* - Ck = 2, Segment Curvature Penalty = 2
* - Quadratic Rational Shape Controller
* - Natural Boundary Setting
* - Set up the Huynh-Le Floch Delimited Local Curve Control parameters as follows:
* - C1 Huynh-Le Floch Delimited Monotone Smoothener with spurious extrema elimination and monotone filtering applied
* - Zero Rate Quantification Metric
* - Cubic Polynomial Basis Spline Set
* - Ck = 2, Segment Curvature Penalty = 2
* - Quadratic Rational Shape Controller
* - Natural Boundary Setting
* - Set up the Kruger Local Curve Control parameters as follows:
* - C1 Kruger Monotone Smoothener with spurious extrema elimination and monotone filtering applied
* - Zero Rate Quantification Metric
* - Cubic Polynomial Basis Spline Set
* - Ck = 2, Segment Curvature Penalty = 2
* - Quadratic Rational Shape Controller
* - Natural Boundary Setting
* - Construct the Shape Preserving Discount Curve by applying the linear curve calibrator to the array
* of Cash and Swap Stretches.
* - Construct the Akima Locally Smoothened Discount Curve by applying the linear curve calibrator and
* the Local Curve Control parameters to the array of Cash and Swap Stretches and the shape
* preserving discount curve.
* - Construct the Harmonic Locally Smoothened Discount Curve by applying the linear curve calibrator
* and the Local Curve Control parameters to the array of Cash and Swap Stretches and the shape
* preserving discount curve.
* - Construct the Hyman 1983 Locally Smoothened Discount Curve by applying the linear curve calibrator
* and the Local Curve Control parameters to the array of Cash and Swap Stretches and the shape
* preserving discount curve.
* - Construct the Hyman 1989 Locally Smoothened Discount Curve by applying the linear curve calibrator
* and the Local Curve Control parameters to the array of Cash and Swap Stretches and the shape
* preserving discount curve.
* - Construct the Huynh-Le Floch Delimiter Locally Smoothened Discount Curve by applying the linear
* curve calibrator and the Local Curve Control parameters to the array of Cash and Swap Stretches
* and the shape preserving discount curve.
* - Construct the Kruger Locally Smoothened Discount Curve by applying the linear curve calibrator and
* the Local Curve Control parameters to the array of Cash and Swap Stretches and the shape
* preserving discount curve.
* - Cross-Comparison of the Cash/Swap Calibration Instrument "Rate" metric across the different curve
* construction methodologies.
* - Cross-Comparison of the Swap Calibration Instrument "Rate" metric across the different curve
* construction methodologies for a sequence of bespoke swap instruments.
*
* USE WITH CARE: This sample ignores errors and does not handle exceptions.
*/
private static final void ShapeDFZeroLocalSmoothSample (
final JulianDate dtSpot,
final String strCurrency)
throws Exception
{
/*
* Construct the Array of Deposit Instruments and their Quotes from the given set of parameters
*/
SingleStreamComponent[] aDepositComp = DepositInstrumentsFromMaturityDays (
dtSpot,
strCurrency,
new int[] {
1, 2, 7, 14, 30, 60
}
);
double[] adblDepositQuote = new double[] {
0.0013, 0.0017, 0.0017, 0.0018, 0.0020, 0.0023
};
/*
* Construct the Deposit Instrument Set Stretch Builder
*/
LatentStateStretchSpec depositStretch = LatentStateStretchBuilder.ForwardFundingStretchSpec (
"DEPOSIT",
aDepositComp,
"ForwardRate",
adblDepositQuote
);
/*
* Construct the Array of EDF Instruments and their Quotes from the given set of parameters
*/
SingleStreamComponent[] aEDFComp = SingleStreamComponentBuilder.ForwardRateFuturesPack (
dtSpot,
8,
strCurrency
);
double[] adblEDFQuote = new double[] {
0.0027, 0.0032, 0.0041, 0.0054, 0.0077, 0.0104, 0.0134, 0.0160
};
/*
* Construct the EDF Instrument Set Stretch Builder
*/
LatentStateStretchSpec edfStretch = LatentStateStretchBuilder.ForwardFundingStretchSpec (
"EDF",
aEDFComp,
"ForwardRate",
adblEDFQuote
);
/*
* Construct the Array of Swap Instruments and their Quotes from the given set of parameters
*/
FixFloatComponent[] aSwapComp = SwapInstrumentsFromMaturityTenor (
dtSpot,
strCurrency,
new java.lang.String[] {
"4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y", "40Y", "50Y"
}
);
double[] adblSwapQuote = new double[] {
0.0166, 0.0206, 0.0241, 0.0269, 0.0292, 0.0311, 0.0326, 0.0340, 0.0351, 0.0375, 0.0393, 0.0402, 0.0407, 0.0409, 0.0409
};
/*
* Construct the Swap Instrument Set Stretch Builder
*/
LatentStateStretchSpec swapStretch = LatentStateStretchBuilder.ForwardFundingStretchSpec (
"SWAP",
aSwapComp,
"SwapRate",
adblSwapQuote
);
LatentStateStretchSpec[] aStretchSpec = new LatentStateStretchSpec[] {
depositStretch,
edfStretch,
swapStretch
};
/*
* Set up the Linear Curve Calibrator using the following parameters:
* - Cubic Exponential Mixture Basis Spline Set
* - Ck = 2, Segment Curvature Penalty = 2
* - Quadratic Rational Shape Controller
* - Natural Boundary Setting
*/
LinearLatentStateCalibrator lcc = new LinearLatentStateCalibrator (
new SegmentCustomBuilderControl (
MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
new PolynomialFunctionSetParams (4),
SegmentInelasticDesignControl.Create (
2,
2
),
new ResponseScalingShapeControl (
true,
new QuadraticRationalShapeControl (0.)
),
null
),
BoundarySettings.NaturalStandard(),
MultiSegmentSequence.CALIBRATE,
null,
null
);
ValuationParams valParams = new ValuationParams (
dtSpot,
dtSpot,
strCurrency
);
/*
* Construct the Shape Preserving Discount Curve by applying the linear curve calibrator to the array
* of Deposit, Futures, and Swap Stretches.
*/
MergedDiscountForwardCurve dcShapePreserving = ScenarioDiscountCurveBuilder.ShapePreservingDFBuild (
strCurrency,
lcc,
aStretchSpec,
valParams,
null,
null,
null,
1.
);
/*
* Set up the Akima Local Curve Control parameters as follows:
* - C1 Akima Monotone Smoothener with spurious extrema elimination and monotone filtering applied
* - Zero Rate Quantification Metric
* - Cubic Polynomial Basis Spline Set
* - Ck = 2, Segment Curvature Penalty = 2
* - Quadratic Rational Shape Controller
* - Natural Boundary Setting
*/
LocalControlCurveParams lccpAkima = new LocalControlCurveParams (
LocalMonotoneCkGenerator.C1_AKIMA,
LatentStateStatic.DISCOUNT_QM_ZERO_RATE,
new SegmentCustomBuilderControl (
MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
new PolynomialFunctionSetParams (4),
SegmentInelasticDesignControl.Create (
2,
2
),
new ResponseScalingShapeControl (
true,
new QuadraticRationalShapeControl (0.)
),
null
),
MultiSegmentSequence.CALIBRATE,
null,
null,
true,
true
);
/*
* Set up the Harmonic Local Curve Control parameters as follows:
* - C1 Harmonic Monotone Smoothener with spurious extrema elimination and monotone filtering
* applied
* - Zero Rate Quantification Metric
* - Cubic Polynomial Basis Spline Set
* - Ck = 2, Segment Curvature Penalty = 2
* - Quadratic Rational Shape Controller
* - Natural Boundary Setting
*/
LocalControlCurveParams lccpHarmonic = new LocalControlCurveParams (
LocalMonotoneCkGenerator.C1_HARMONIC,
LatentStateStatic.DISCOUNT_QM_ZERO_RATE,
new SegmentCustomBuilderControl (
MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
new PolynomialFunctionSetParams (4),
SegmentInelasticDesignControl.Create (
2,
2
),
new ResponseScalingShapeControl (
true,
new QuadraticRationalShapeControl (0.)
),
null
),
MultiSegmentSequence.CALIBRATE,
null,
null,
true,
true
);
/*
* Set up the Hyman 1983 Local Curve Control parameters as follows:
* - C1 Hyman 1983 Monotone Smoothener with spurious extrema elimination and monotone filtering
* applied
* - Zero Rate Quantification Metric
* - Cubic Polynomial Basis Spline Set
* - Ck = 2, Segment Curvature Penalty = 2
* - Quadratic Rational Shape Controller
* - Natural Boundary Setting
*/
LocalControlCurveParams lccpHyman83 = new LocalControlCurveParams (
LocalMonotoneCkGenerator.C1_HYMAN83,
LatentStateStatic.DISCOUNT_QM_ZERO_RATE,
new SegmentCustomBuilderControl (
MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
new PolynomialFunctionSetParams (4),
SegmentInelasticDesignControl.Create (
2,
2
),
new ResponseScalingShapeControl (
true,
new QuadraticRationalShapeControl (0.)
),
null
),
MultiSegmentSequence.CALIBRATE,
null,
null,
true,
true
);
/*
* Set up the Hyman 1989 Local Curve Control parameters as follows:
* - C1 Hyman 1989 Monotone Smoothener with spurious extrema elimination and monotone filtering
* applied
* - Zero Rate Quantification Metric
* - Cubic Polynomial Basis Spline Set
* - Ck = 2, Segment Curvature Penalty = 2
* - Quadratic Rational Shape Controller
* - Natural Boundary Setting
*/
LocalControlCurveParams lccpHyman89 = new LocalControlCurveParams (
LocalMonotoneCkGenerator.C1_HYMAN89,
LatentStateStatic.DISCOUNT_QM_ZERO_RATE,
new SegmentCustomBuilderControl (
MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
new PolynomialFunctionSetParams (4),
SegmentInelasticDesignControl.Create (
2,
2
),
new ResponseScalingShapeControl (
true,
new QuadraticRationalShapeControl (0.)
),
null
),
MultiSegmentSequence.CALIBRATE,
null,
null,
true,
true
);
/*
* Set up the Huynh-LeFloch Limiter Local Curve Control parameters as follows:
* - C1 Huynh-LeFloch Limiter Monotone Smoothener with spurious extrema elimination and monotone
* filtering applied
* - Zero Rate Quantification Metric
* - Cubic Polynomial Basis Spline Set
* - Ck = 2, Segment Curvature Penalty = 2
* - Quadratic Rational Shape Controller
* - Natural Boundary Setting
*/
LocalControlCurveParams lccpHuynhLeFloch = new LocalControlCurveParams (
LocalMonotoneCkGenerator.C1_HUYNH_LE_FLOCH,
LatentStateStatic.DISCOUNT_QM_ZERO_RATE,
new SegmentCustomBuilderControl (
MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
new PolynomialFunctionSetParams (4),
SegmentInelasticDesignControl.Create (
2,
2
),
new ResponseScalingShapeControl (
true,
new QuadraticRationalShapeControl (0.)
),
null
),
MultiSegmentSequence.CALIBRATE,
null,
null,
true,
true
);
/*
* Set up the Kruger Local Curve Control parameters as follows:
* - C1 Kruger Monotone Smoothener with spurious extrema elimination and monotone filtering applied
* - Zero Rate Quantification Metric
* - Cubic Polynomial Basis Spline Set
* - Ck = 2, Segment Curvature Penalty = 2
* - Quadratic Rational Shape Controller
* - Natural Boundary Setting
*/
LocalControlCurveParams lccpKruger = new LocalControlCurveParams (
LocalMonotoneCkGenerator.C1_KRUGER,
LatentStateStatic.DISCOUNT_QM_ZERO_RATE,
new SegmentCustomBuilderControl (
MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
new PolynomialFunctionSetParams (4),
SegmentInelasticDesignControl.Create (
2,
2
),
new ResponseScalingShapeControl (
true,
new QuadraticRationalShapeControl (0.)
),
null
),
MultiSegmentSequence.CALIBRATE,
null,
null,
true,
true
);
/*
* Construct the Akima Locally Smoothened Discount Curve by applying the linear curve calibrator and
* the Local Curve Control parameters to the array of Cash and Swap Stretches and the shape
* preserving discount curve.
*/
MergedDiscountForwardCurve dcLocalAkima = ScenarioDiscountCurveBuilder.SmoothingLocalControlBuild (
dcShapePreserving,
lcc,
lccpAkima,
valParams,
null,
null,
null
);
/*
* Construct the Harmonic Locally Smoothened Discount Curve by applying the linear curve calibrator
* and the Local Curve Control parameters to the array of Cash and Swap Stretches and the shape
* preserving discount curve.
*/
MergedDiscountForwardCurve dcLocalHarmonic = ScenarioDiscountCurveBuilder.SmoothingLocalControlBuild (
dcShapePreserving,
lcc,
lccpHarmonic,
valParams,
null,
null,
null
);
/*
* Construct the Hyman 1983 Locally Smoothened Discount Curve by applying the linear curve calibrator
* and the Local Curve Control parameters to the array of Cash and Swap Stretches and the shape
* preserving discount curve.
*/
MergedDiscountForwardCurve dcLocalHyman83 = ScenarioDiscountCurveBuilder.SmoothingLocalControlBuild (
dcShapePreserving,
lcc,
lccpHyman83,
valParams,
null,
null,
null
);
/*
* Construct the Hyman 1989 Locally Smoothened Discount Curve by applying the linear curve calibrator
* and the Local Curve Control parameters to the array of Cash and Swap Stretches and the shape
* preserving discount curve.
*/
MergedDiscountForwardCurve dcLocalHyman89 = ScenarioDiscountCurveBuilder.SmoothingLocalControlBuild (
dcShapePreserving,
lcc,
lccpHyman89,
valParams,
null,
null,
null
);
/*
* Construct the Huynh-Le Floch delimited Locally Smoothened Discount Curve by applying the linear
* curve calibrator and the Local Curve Control parameters to the array of Cash and Swap Stretches
* and the shape preserving discount curve.
*/
MergedDiscountForwardCurve dcLocalHuynhLeFloch = ScenarioDiscountCurveBuilder.SmoothingLocalControlBuild (
dcShapePreserving,
lcc,
lccpHuynhLeFloch,
valParams,
null,
null,
null
);
/*
* Construct the Kruger Locally Smoothened Discount Curve by applying the linear curve calibrator and
* the Local Curve Control parameters to the array of Cash and Swap Stretches and the shape
* preserving discount curve.
*/
MergedDiscountForwardCurve dcLocalKruger = ScenarioDiscountCurveBuilder.SmoothingLocalControlBuild (
dcShapePreserving,
lcc,
lccpKruger,
valParams,
null,
null,
null
);
/*
* Cross-Comparison of the Cash Calibration Instrument "Rate" metric across the different curve
* construction methodologies.
*/
System.out.println ("\n\t-------------------------------------------------------------------------------------------------------------------------------------------");
System.out.println ("\t--------------------------------------------------------------------------------------------------------------------------------------------");
System.out.println ("\t DEPOSIT INSTRUMENTS CALIBRATION RECOVERY");
System.out.println ("\t--------------------------------------------------------------------------------------------------------------------------------------------");
System.out.println ("\t SHAPE PRESERVING | LOCAL AKIMA | LOCAL HARMONIC | LOCAL HYMAN83 | LOCAL HYMAN89 | LOCAL HUYNHLF | LOCAL KRUGER | INPUT QUOTE ");
System.out.println ("\t--------------------------------------------------------------------------------------------------------------------------------------------");
System.out.println ("\t--------------------------------------------------------------------------------------------------------------------------------------------");
for (int i = 0; i < aDepositComp.length; ++i)
System.out.println ("\t[" + aDepositComp[i].maturityDate() + "] = " +
FormatUtil.FormatDouble (
aDepositComp[i].measureValue (
valParams,
null,
MarketParamsBuilder.Create (dcShapePreserving, null, null, null, null, null, null),
null,
"Rate"),
1, 6, 1.) + " | " +
FormatUtil.FormatDouble (
aDepositComp[i].measureValue (
valParams,
null,
MarketParamsBuilder.Create (dcLocalAkima, null, null, null, null, null, null),
null,
"Rate"),
1, 6, 1.) + " | " +
FormatUtil.FormatDouble (
aDepositComp[i].measureValue (
valParams,
null,
MarketParamsBuilder.Create (dcLocalHarmonic, null, null, null, null, null, null),
null,
"Rate"),
1, 6, 1.) + " | " +
FormatUtil.FormatDouble (
aDepositComp[i].measureValue (
valParams,
null,
MarketParamsBuilder.Create (dcLocalHyman83, null, null, null, null, null, null),
null,
"Rate"),
1, 6, 1.) + " | " +
FormatUtil.FormatDouble (
aDepositComp[i].measureValue (
valParams,
null,
MarketParamsBuilder.Create (dcLocalHyman89, null, null, null, null, null, null),
null,
"Rate"),
1, 6, 1.) + " | " +
FormatUtil.FormatDouble (
aDepositComp[i].measureValue (
valParams,
null,
MarketParamsBuilder.Create (dcLocalHuynhLeFloch, null, null, null, null, null, null),
null,
"Rate"),
1, 6, 1.) + " | " +
FormatUtil.FormatDouble (
aDepositComp[i].measureValue (
valParams,
null,
MarketParamsBuilder.Create (dcLocalKruger, null, null, null, null, null, null),
null,
"Rate"),
1, 6, 1.) + " | " +
FormatUtil.FormatDouble (adblDepositQuote[i], 1, 6, 1.)
);
/*
* Cross-Comparison of the Swap Calibration Instrument "Rate" metric across the different curve
* construction methodologies.
*/
System.out.println ("\n\t--------------------------------------------------------------------------------------------------------------------------------------------");
System.out.println ("\t--------------------------------------------------------------------------------------------------------------------------------------------");
System.out.println ("\t SWAP INSTRUMENTS CALIBRATION RECOVERY");
System.out.println ("\t--------------------------------------------------------------------------------------------------------------------------------------------");
System.out.println ("\t SHAPE PRESERVING | LOCAL AKIMA | LOCAL HARMONIC | LOCAL HYMAN83 | LOCAL HYMAN89 | LOCAL HUYNHLF | LOCAL KRUGER | INPUT QUOTE ");
System.out.println ("\t--------------------------------------------------------------------------------------------------------------------------------------------");
System.out.println ("\t--------------------------------------------------------------------------------------------------------------------------------------------");
for (int i = 0; i < aSwapComp.length; ++i)
System.out.println ("\t[" + aSwapComp[i].maturityDate() + "] = " +
FormatUtil.FormatDouble (
aSwapComp[i].measureValue (
valParams,
null,
MarketParamsBuilder.Create (dcShapePreserving, null, null, null, null, null, null),
null,
"CalibSwapRate"),
1, 6, 1.) + " | " +
FormatUtil.FormatDouble (
aSwapComp[i].measureValue (
valParams,
null,
MarketParamsBuilder.Create (dcLocalAkima, null, null, null, null, null, null),
null,
"CalibSwapRate"),
1, 6, 1.) + " | " +
FormatUtil.FormatDouble (
aSwapComp[i].measureValue (
valParams,
null,
MarketParamsBuilder.Create (dcLocalHarmonic, null, null, null, null, null, null),
null,
"CalibSwapRate"),
1, 6, 1.) + " | " +
FormatUtil.FormatDouble (
aSwapComp[i].measureValue (
valParams,
null,
MarketParamsBuilder.Create (dcLocalHyman83, null, null, null, null, null, null),
null,
"CalibSwapRate"),
1, 6, 1.) + " | " +
FormatUtil.FormatDouble (
aSwapComp[i].measureValue (
valParams,
null,
MarketParamsBuilder.Create (dcLocalHyman89, null, null, null, null, null, null),
null,
"CalibSwapRate"),
1, 6, 1.) + " | " +
FormatUtil.FormatDouble (
aSwapComp[i].measureValue (
valParams,
null,
MarketParamsBuilder.Create (dcLocalHuynhLeFloch, null, null, null, null, null, null),
null,
"CalibSwapRate"),
1, 6, 1.) + " | " +
FormatUtil.FormatDouble (
aSwapComp[i].measureValue (
valParams,
null,
MarketParamsBuilder.Create (dcLocalKruger, null, null, null, null, null, null),
null,
"CalibSwapRate"),
1, 6, 1.) + " | " +
FormatUtil.FormatDouble (adblSwapQuote[i], 1, 6, 1.)
);
/*
* Cross-Comparison of the Swap Calibration Instrument "Rate" metric across the different curve
* construction methodologies for a sequence of bespoke swap instruments.
*/
CalibratableComponent[] aCC = SwapInstrumentsFromMaturityTenor (
dtSpot,
strCurrency,
new java.lang.String[] {
"3Y", "6Y", "9Y", "12Y", "15Y", "18Y", "21Y", "24Y", "27Y", "30Y"
}
);
System.out.println ("\n\t--------------------------------------------------------------------------------------------------------------------------------");
System.out.println ("\t--------------------------------------------------------------------------------------------------------------------------------");
System.out.println ("\t BESPOKE SWAPS PAR RATE");
System.out.println ("\t--------------------------------------------------------------------------------------------------------------------------------");
System.out.println ("\t SHAPE PRESERVING | LOCAL AKIMA | LOCAL HARMONIC | LOCAL HYMAN83 | LOCAL HYMAN89 | LOCAL HUYNHLF | LOCAL KRUGER ");
System.out.println ("\t--------------------------------------------------------------------------------------------------------------------------------");
System.out.println ("\t--------------------------------------------------------------------------------------------------------------------------------");
for (int i = 0; i < aCC.length; ++i)
System.out.println ("\t[" + aCC[i].maturityDate() + "] = " +
FormatUtil.FormatDouble (
aCC[i].measureValue (
valParams,
null,
MarketParamsBuilder.Create (dcShapePreserving, null, null, null, null, null, null),
null,
"CalibSwapRate"),
1, 6, 1.) + " | " +
FormatUtil.FormatDouble (
aCC[i].measureValue (
valParams,
null,
MarketParamsBuilder.Create (dcLocalAkima, null, null, null, null, null, null),
null,
"CalibSwapRate"),
1, 6, 1.) + " | " +
FormatUtil.FormatDouble (
aCC[i].measureValue (
valParams,
null,
MarketParamsBuilder.Create (dcLocalHarmonic, null, null, null, null, null, null),
null,
"CalibSwapRate"),
1, 6, 1.) + " | " +
FormatUtil.FormatDouble (
aCC[i].measureValue (
valParams,
null,
MarketParamsBuilder.Create (dcLocalHyman83, null, null, null, null, null, null),
null,
"CalibSwapRate"),
1, 6, 1.) + " | " +
FormatUtil.FormatDouble (
aCC[i].measureValue (
valParams,
null,
MarketParamsBuilder.Create (dcLocalHyman89, null, null, null, null, null, null),
null,
"CalibSwapRate"),
1, 6, 1.) + " | " +
FormatUtil.FormatDouble (
aCC[i].measureValue (
valParams,
null,
MarketParamsBuilder.Create (dcLocalHuynhLeFloch, null, null, null, null, null, null),
null,
"CalibSwapRate"),
1, 6, 1.) + " | " +
FormatUtil.FormatDouble (
aCC[i].measureValue (
valParams,
null,
MarketParamsBuilder.Create (dcLocalKruger, null, null, null, null, null, null),
null,
"CalibSwapRate"),
1, 6, 1.)
);
}
public static final void main (
final String[] astrArgs)
throws Exception
{
/*
* Initialize the Credit Analytics Library
*/
EnvManager.InitEnv ("");
JulianDate dtToday = DateUtil.Today().addTenor ("0D");
String strCurrency = "USD";
ShapeDFZeroLocalSmoothSample (
dtToday,
strCurrency
);
EnvManager.TerminateEnv();
}
}